PYPD Straddle Strategy

PYPD (PolyPid Ltd.), in the Healthcare sector, (Biotechnology industry), listed on NASDAQ.

PolyPid Ltd. is an advanced-stage biopharmaceutical company specializing in the development, manufacturing, and commercialization of therapeutic solutions. These solutions are based on its proprietary polymer-lipid encapsulation matrix (PLEX) platform, with the goal of addressing significant unmet medical needs. The company's leading product candidate, D-PLEX100, is currently undergoing Phase III clinical trials. It is being evaluated for its efficacy in preventing surgical site infections (SSIs) following both sternal (bone) and abdominal (soft tissue) procedures. Established in 2008, PolyPid Ltd. is headquartered in Petah Tikva, Israel.

PYPD (PolyPid Ltd.) trades in the Healthcare sector, specifically Biotechnology, with a market capitalization of approximately $48.4M, a beta of 1.43 versus the broader market, a 52-week range of 3.06-5.21, average daily share volume of 103K, a public-listing history dating back to 2020, approximately 57 full-time employees. These structural characteristics shape how PYPD stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.

A beta of 1.43 indicates PYPD has historically moved more than the broader market, amplifying both the directional payoff and the realized volatility relative to an index-equivalent position.

What is a straddle on PYPD?

A long straddle buys an ATM call and an ATM put at the same strike, profiting from a large move in either direction; max loss equals the combined debit when the underlying pins to the strike at expiration.

Current PYPD snapshot

As of June 29, 2026, spot at $4.97, ATM IV 115.50%, IV rank 23.14%, expected move 33.11%. The straddle on PYPD below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 18-day expiry.

Why this straddle structure on PYPD specifically: PYPD IV at 115.50% is on the cheap side of its 1-year range, which favors premium-buying structures like a PYPD straddle, with a market-implied 1-standard-deviation move of approximately 33.11% (roughly $1.65 on the underlying). The 18-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated PYPD expiries trade a higher absolute premium for lower per-day decay. Position sizing on PYPD should anchor to the underlying notional of $4.97 per share and to the trader's directional view on PYPD stock.

PYPD straddle setup

The PYPD straddle below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With PYPD near $4.97, the first option leg uses a $4.97 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed PYPD chain at a 18-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 PYPD shares for the stock leg in covered calls and collars).

ActionTypeStrike / BasisPremium (est)
Buy 1Call$4.97N/A
Buy 1Put$4.97N/A

PYPD straddle risk and reward

Net Premium / Debit
N/A
Max Profit (per contract)
Unbounded
Max Loss (per contract)
Unbounded
Breakeven(s)
None on modeled curve
Risk / Reward Ratio
N/A

Upside max profit is unbounded; downside max profit is bounded at the strike minus the combined call plus put debit (reached at zero). Max loss equals the combined debit times 100 (reached when the underlying pins to the strike). Two breakevens at strike plus debit and strike minus debit.

PYPD straddle payoff curve

Modeled P&L at expiration across a range of underlying prices for the straddle on PYPD. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.

When traders use straddle on PYPD

Straddles on PYPD are pure-volatility plays that profit from large moves in either direction; traders typically buy PYPD straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.

PYPD thesis for this straddle

The market-implied 1-standard-deviation range for PYPD extends from approximately $3.32 on the downside to $6.62 on the upside. A PYPD long straddle is a pure-volatility play: it profits when the underlying moves far enough from the strike in either direction to overcome the combined call plus put debit, regardless of direction. Current PYPD IV rank near 23.14% sits in the lower third of its 1-year distribution, where IV often re-expands toward the mean; this favors premium-buying structures and disadvantages premium-selling structures on PYPD at 115.50%. As a Healthcare name, PYPD options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to PYPD-specific events.

PYPD straddle positions are structurally neutral / high-volatility (long premium); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. PYPD positions also carry Healthcare sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move PYPD alongside the broader basket even when PYPD-specific fundamentals are unchanged. Always rebuild the position from current PYPD chain quotes before placing a trade.

Frequently asked questions

What is a straddle on PYPD?
A straddle on PYPD is the straddle strategy applied to PYPD (stock). The strategy is structurally neutral / high-volatility (long premium): A long straddle buys an ATM call and an ATM put at the same strike, profiting from a large move in either direction; max loss equals the combined debit when the underlying pins to the strike at expiration. With PYPD stock trading near $4.97, the strikes shown on this page are snapped to the nearest listed PYPD chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
How are PYPD straddle max profit and max loss calculated?
Upside max profit is unbounded; downside max profit is bounded at the strike minus the combined call plus put debit (reached at zero). Max loss equals the combined debit times 100 (reached when the underlying pins to the strike). Two breakevens at strike plus debit and strike minus debit. For the PYPD straddle priced from the end-of-day chain at a 30-day expiry (ATM IV 115.50%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
What is the breakeven for a PYPD straddle?
The breakeven for the PYPD straddle priced on this page is no defined breakeven on the modeled curve at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current PYPD market-implied 1-standard-deviation expected move is approximately 33.11%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
When should you consider a straddle on PYPD?
Straddles on PYPD are pure-volatility plays that profit from large moves in either direction; traders typically buy PYPD straddles ahead of earnings, FDA decisions, or other catalysts where the realized move is expected to exceed the implied move priced into the chain.
How does current PYPD implied volatility affect this straddle?
PYPD ATM IV is at 115.50% with IV rank near 23.14%, which is on the low end of its 1-year range. Premium-buying structures (long call, long put, debit spreads) are relatively cheap in this regime; premium-selling structures collect less credit per unit risk.

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